Multidimensional quadratic and subquadratic BSDEs with special structure

作者：Cheridito Patrick; Nam Kihun^*

来源：Stochastics-An International Journal of Probability and Stochastic Reports, 2015, 87(5): 871-884.

DOI：10.1080/17442508.2015.1013959

• multidimensional backward stochastic differential equations
• forward-backward stochastic differential equations
• quadratic BSDEs
• projectable BSDEs
• strictly subquadratic BSDEs

We study multidimensional BSDEs of the form. We consider three different cases. In the first case, the BSDE is Markovian, and a solution can be obtained from a solution to a related FBSDE. In the second case, the BSDE becomes a one-dimensional quadratic BSDE when projected to a one-dimensional subspace, and a solution can be derived from a solution of the one-dimensional equation. In the third case, the growth of the driver is strictly subquadratic, and the existence and uniqueness of a solution can be shown by first solving the BSDE on a short time interval and then extending it recursively.

• 出版日期2015